Whenever possible, I try to select beets with the long, skinny tails at the ends of the roots that you see in the photo here. You'll see why shortly.
To begin with, preheat your oven to 400°F. Trim off all but about an inch of the stalk. Save the stems and the greens, though. If you have one of those juicing machines, beet greens are a great addition to your homemade juice (as are the raw beets themselves). You can also sauté the beet greens for a fantastic side dish.
Thoroughly wash and dry the beets and put them in a baking dish or sheet pan. Note that we'll be roasting these beets without foil. For what it's worth, roasting is a dry-heat cooking method where the food is cooked uncovered.